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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

✍ Scribed by Andrews, Donald W. K.


Book ID
118148159
Publisher
John Wiley and Sons
Year
1991
Tongue
English
Weight
954 KB
Volume
59
Category
Article
ISSN
0012-9682

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A Heteroskedasticity-Consistent Covarian
✍ Halbert White πŸ“‚ Article πŸ“… 1980 πŸ› John Wiley and Sons 🌐 English βš– 450 KB

## BY HALBERT WHITE1 This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formal model of the structure of the heteroskedasticity. By comparing the elements of